Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
Year of publication: |
November 2017
|
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Authors: | Vrins, Frédéric |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 7, p. 1-35
|
Subject: | Counterparty credit risk | wrong-way risk | intensity models | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Theorie | Theory | Risikomanagement | Risk management |
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